GLOBAL INTEREST RATES: DISLOCATIONS AND OPPORTUNITIES
|
|
- Catherine Laureen Little
- 6 years ago
- Views:
Transcription
1 GLOBAL INTEREST RATES: DISLOCATIONS AND OPPORTUNITIES Lin Yang, Dell Francesco Tonin, Bloomberg APRIL // 3 // 2017
2 JAPANIFICATION OF TREASURIES 2 Dislocations in the relation between US rates and Japanese rates has eliminated the appeal for Japanese investors willing to purchase US debt and synthetically turn it into Japanese cash flows
3 TO A US INVESTOR, JAPANESE T-BILLS YIELD MORE THAN US T-BILLS 3 A US investor can purchase Japanese T-Bills and swap all the cash flows into dollar cash flows, thus achieving a yield of 1.22% which is higher than US T- Bills
4 TO A EUR INVESTOR, ANY YIELD PICK UP IS BETTER THAN NOTHING 4 Euro investors starved for yield have turned to USD debt but of recent the yield pick up has dwindled to zero
5 ORIGINS OF THE DISLOCATION 5 The cross currency basis is responsible for the black magic involved in those arbitrage trades
6 DEFINITION OF THE CROSS CURRENCY BASIS 6 The definition of the basis is based on a floating-floating cross currency swap. 3M EURIBOR BANK Corporation or Asset Manager 3M USD LIBOR + Basis
7 NUMERICAL DETAILS ABOUT THE BASIS 7 In this example, EURIBOR flat for 5 years can be exchanged for USD Libor plus 46 basis points
8 UNDERLYING CROSS CURRENCY FLOAT-TO-FLOAT SWAP We show here the details of the underlying cross currency float-to-float swap that defines the notion of the basis. Notice that the swap is floating in both legs, so it needs to be overlaid with a domestic fix-to-floating interest rate swap in most practical applications. This makes the meaning of the sign in the basis counterintuitive 8
9 UNDERLYING CROSS CURRENCY FLOAT-TO-FLOAT SWAP These are the cash flows of the five year swap, shown in USD and in EUR. The forward rate is used to translate from one currency to another. We notice that there is a balloon payment at the end, and the ratio between the USD balloon payment and the euro balloon payment equals the forward rate at trade date. 9 Last date balloon payment exchanged at the forward rate
10 MEASURES OF STRESS IN THE FINANCIAL SECTOR 10 The LIBOR-OIS spread, or LOIS, is a measure of fragility in the banking sector
11 THE HISTORICAL ORIGIN OF THE DILEMMA 11 We can easily see how historically the risk of the banking sector was underpriced before the collapse of Lehman Brothers in 2008
12 MAIN CHART THAT TELLS THE WHOLE STORY 12 Here is the chart of the EURUSD 1y cross currency basis. Note the basis is a negative number
13 PRACTICAL IMPLICATION OF THE BASIS 13 To prove our point with an example, let us look at the Covered Interest Rate Parity (CIP) for EURUSD. In this case we calculate the forward points using the USD and EUR interest rates and we discover, in the one-year tenor, an arbitrage of 91 pips.
14 FORENSIC RESEARCH ON THE ARBITRAGE 14 We have a look at the EUR interest rate curve used for the calculation of the forward points: the standard EUR curve used by default in EUR interest rate swaps
15 DISSECTING THE ARBITRAGE 15 We change the curve to EUR vs. USD Basis curve, which takes the cross currency basis into account
16 CHECKING THE ARBITRAGE 16 And now the discrepancy is just 36 pips.
17 HOW TO UNDERSTAND FX EXPOSURES USING SILLY LITTLE DRAWINGS 17 After changing the curve to the Basis curve, the arbitrage is reduced to 35 pips.
18 CROSS CURRENCY BASIS COMPARISON BY COUNTRY 18 We can compare which currencies exhibit the largest level of the basis. Why does Australia have a positive basis?
19 EXPLANATION OF THE BASIS VIA CREDIT ARBITRAGE 19 Corporations will tend to borrow in those currencies whose markets offer the most favorable conditions: in this chart we show the EURUSD basis together with the spread between US corporate spreads and Euro corporate spreads. As the difference increase, US corporates tend to borrow in euros and then need to swap the debt to synthetic USD debt and this increases the basis. Note that this phenomenon has been specific to Europe, due to the uniqueness of the ECB program
20 EXPLANATION OF WHY CORP SPREAD^2 CREATES THE BASIS 20 Bond Investors Coupons on EUR Bond Issued EUR Fixed BANK 1 BANK 2 3M EURIBOR 3M EURIBOR US Corporation 3M USD LIBOR + Basis 3M USD LIBOR BANK 3 USD Fixed
21 REVERSE YANKEE BONDS The ECB bond purchase program drove EUR-denominated corporate bond spreads lower than they US counterparts In response, US corporates have found more cost-effective to issue in euros, and then swap the proceeds back into USD This corresponded to a surge of issuance in euro-denominated corporate bonds since
22 EXPLANATION OF WHY EURO ASSET MANAGERS CONTRIBUTE TO THE BASIS 22 US Bond Coupons on USD Bond Purchased USD Fixed BANK 1 BANK 2 3M USD LIBOR 3M USD LIBOR + Basis European Asset Manager 3M EURIBOR 3M EURIBOR BANK 3 EUR Fixed
23 EXPLANATION OF WHY EUROPEAN BANKS CONTRIBUTE TO THE BASIS 23 US Loan Coupons on USD Loan USD Fixed BANK 1 3M USD LIBOR BANK 2 3M USD LIBOR + Basis 3M Yen LIBOR Japanese Bank 3M Yen LIBOR BANK 3 JPY Fixed JPY Depositors JPY Interest on Deposits
24 THE CARRY TRADE CONTRIBUTES TO EXPLAIN THE BASIS 24 USD Investment Coupons on USD Bond Purchased USD Fixed BANK 1 3M USD LIBOR BANK 2 3M USD LIBOR + Basis 3M Yen LIBOR Carry Trade Player 3M Yen LIBOR BANK 3 Yen Fixed JPY Liability Yen Interest on Borrowed Money
25 WHERE ARE THE ARBITRAGEURS? Hedge funds, CTA s and all sorts of investors should be able to take advantage of the cross currency basis and should be able to make it disappear But time goes by and the financial crisis recedes more and more in the past and the basis does not show signs of closing This is due to the very reason the basis came to be in the first place: the great financial crisis In order to arbitrage the basis, people have to be able to rent balance sheet from their bank counterparties, the very activity that recent legislation has made so expensive Credit charges, more discriminating Prime Brokerages, margin requirements all conjure to keep the basis alive 25
26 &A >>>>>>>>>>>>>
GLOBAL INTEREST RATES: DISLOCATIONS AND OPPORTUNITIES
GLOBAL INTEREST RATES: DISLOCATIONS AND OPPORTUNITIES Francesco Tonin, Bloomberg MAY // 2 // 2017 JAPANIFICATION OF TREASURIES 2 Dislocations in the relation between US rates and Japanese rates has eliminated
More informationLimits to Arbitrage: Empirical Evidence from Euro Area Sovereign Bond Markets
Limits to Arbitrage: Empirical Evidence from Euro Area Sovereign Bond Markets Stefano Corradin (ECB) Maria Rodriguez (University of Navarra) Non-standard monetary policy measures, ECB workshop Frankfurt
More informationX-CCY BASIS. What does it mean CCB?
X-CCY BASIS What does it mean CCB? Similarly to tenor spreads in single currency interest rate markets, basis spreads between cash-flows in two different currencies widened significantly after the financial
More informationDollar Funding and the Lending Behavior of Global Banks
Dollar Funding and the Lending Behavior of Global Banks Victoria Ivashina (with David Scharfstein and Jeremy Stein) Facts US dollar assets of foreign banks are very large - Foreign banks play a major role
More informationBorrowers Objectives
FIN 463 International Finance Cross-Currency and Interest Rate s Professor Robert Hauswald Kogod School of Business, AU Borrowers Objectives Lower your funding costs: optimal distribution of risks between
More informationThe Nitty-Gritty of Currency Hedged Bonds
The Nitty-Gritty of Currency Hedged Bonds September 15, 2016 by Eric Bush of GaveKal Capital If you are like us and try to read as much economic research and market commentary as you can, you have probably
More informationMarch 26, Why Hedge? How to Hedge? Trends and Strategies in Interest Rate and FX Risk Management
Establishing and Maintaining an FX and Interest Rate Hedging Program: The Lifecycle of a Hedge presented by Thomas Armes, Managing Director Foreign Exchange, PNC Capital Markets Steve Goel, Assistant Treasurer,
More informationCovered Interest Parity - RIP. David Lando Copenhagen Business School. BIS May 22, 2017
Covered Interest Parity - RIP David Lando Copenhagen Business School BIS May 22, 2017 David Lando (CBS) Covered Interest Parity May 22, 2017 1 / 12 Three main points VERY interesting and well-written papers
More informationCorporate Risk Management
Cross Currency Swaps: Theory and Application Incorporating Swaps in Treasury Risk Management While corporate treasury executives are well versed in conventional interest rate swaps to manage exposure to
More informationCovered interest rate parity deviations during the crisis
Covered interest rate parity deviations during the crisis Tommaso Mancini Griffoli, Angelo Ranaldo SNB research unit BOP - SNB Joint Conference, Zurich June 15, 2009 1 Agenda CIP basics and motivation
More informationThe dollar, bank leverage and the deviation from covered interest parity
The dollar, bank leverage and the deviation from covered interest parity Stefan Avdjiev, Wenxin Du, Cathérine Koch, and Hyun Song Shin Discussion by Richard M. Levich NYU Stern Prepared for The Future
More informationCME Chapter 13 Spot FX Transactions
CME Chapter 13 Spot FX Transactions 1300. SCOPE OF CHAPTER 1301. SPOT FX TRANSACTION SPECIFICATIONS 1302. DEFINITIONS 1303. GENERAL PROVISIONS 1304. [RESERVED] 1305. PERMITTED USER 1306. END-USERS AND
More informationPoint De Vue: Operational challenges faced by asset managers to price OTC derivatives Laurent Thuilier, SGSS. Avec le soutien de
Point De Vue: Operational challenges faced by asset managers to price OTC derivatives 2012 01 Laurent Thuilier, SGSS Avec le soutien de JJ Mois Année Operational challenges faced by asset managers to price
More informationWhat is Forex? History of the Forex Market
What is Forex? The foreign exchange market is a decentralized, over-the-counter (OTC) global market. The daily volume of the Forex market surpasses $4 trillion as day worldwide. To put this in perspective
More informationUsing Swaps to Borrow Overseas
Fair value hedge treatment can yield unexpected benefits. Using Swaps to Borrow Overseas at Bargain Rates In a perfect world, market inefficiencies are arbitraged away, such that no incentives would motivate
More informationCross Currency Swaps. Savill Consulting 1
Cross Currency Swaps Savill Consulting 1 A forward FX rate is calculated using a no-arbitrage pricing model Assume a US-based investor has US$10.50 million to invest and a 12-mo time horizon. The current
More informationNew challenges in interest rate derivatives valuation Simple is not just simple anymore. Guillaume Ledure Manager Advisory & Consulting Deloitte
New challenges in interest rate derivatives valuation Simple is not just simple anymore Guillaume Ledure Manager Advisory & Consulting Deloitte In the past, the valuation of plain vanilla swaps has been
More informationMonetary Policy Divergence and Global Financial Stability: From the Perspective of Demand and Supply of Safe Assets
Monetary Policy Divergence and Global Financial Stability: From the Perspective of Demand and Supply of Safe Assets January, 7 Speech at a Meeting Hosted by the International Bankers Association of Japan
More informationACI Dealing Certificate (008) Sample Questions
ACI Dealing Certificate (008) Sample Questions Setting the benchmark in certifying the financial industry globally 8 Rue du Mail, 75002 Paris - France T: +33 1 42975115 - F: +33 1 42975116 - www.aciforex.org
More informationWhat yield curves are telling us
ECB-PUBLIC Benoît Cœuré Member of the Executive Board European Central Bank What yield curves are telling us Dublin, 31 January 2018 US Rubric Treasury curve flattest in ten years Bund and US Treasury
More informationFixed-Income Analysis. Assignment 5
FIN 684 Professor Robert B.H. Hauswald Fixed-Income Analysis Kogod School of Business, AU Assignment 5 Please be reminded that you are expected to use contemporary computer software to solve the following
More informationTO HEDGE OR NOT TO HEDGE?
INVESTING IN FOREIGN BONDS: TO HEDGE OR NOT TO HEDGE? APRIL 2017 The asset manager for a changing world Investing in foreign bonds: To hedge or not to hedge? I April 2017 I 3 I SUMMARY Many European institutional
More informationINTEREST RATE BENCHMARKS REVIEW Third Quarter of 2018 and Nine Months Ended September 30, 2018
November 2018 INTEREST RATE BENCHMARKS REVIEW Third Quarter of 2018 and Nine Months Ended September 30, 2018 As the financial industry is preparing to transition from LIBOR and other interbank offered
More information3. Market risks and derivatives. Foreign currency risk management
3. Market risks and derivatives The Company is exposed to a variety of financial risks: market risks (including foreign currency exchange risk and interest rate risk), credit risk, liquidity and capital
More informationCHAPTER 10 INTEREST RATE & CURRENCY SWAPS SUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER QUESTIONS AND PROBLEMS
CHAPTER 10 INTEREST RATE & CURRENCY SWAPS SUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTER QUESTIONS AND PROBLEMS QUESTIONS 1. Describe the difference between a swap broker and a swap dealer. Answer:
More informationSWAPS. Types and Valuation SWAPS
SWAPS Types and Valuation SWAPS Definition A swap is a contract between two parties to deliver one sum of money against another sum of money at periodic intervals. Obviously, the sums exchanged should
More informationFIN 684 Fixed-Income Analysis Swaps
FIN 684 Fixed-Income Analysis Swaps Professor Robert B.H. Hauswald Kogod School of Business, AU Swap Fundamentals In a swap, two counterparties agree to a contractual arrangement wherein they agree to
More informationManagement s Discussion and Analysis of Financial Condition
196 2013 CAF ANNUAL REPORT Management s Discussion and Analysis of Financial Condition CAF ANNUAL REPORT 2013 197 200 200 201 201 203 203 Summary of the financial statements Loan portfolio Liquid assets
More informationInterest Rates & Credit Derivatives
Interest Rates & Credit Derivatives Ashish Ghiya Derivium Tradition (India) 25/06/14 1 Agenda Introduction to Interest Rate & Credit Derivatives Practical Uses of Derivatives Derivatives Going Wrong Practical
More informationCounterparty Credit Risk under Basel III
Counterparty Credit Risk under Basel III Application on simple portfolios Mabelle SAYAH European Actuarial Journal Conference September 8 th, 2016 Recent crisis and Basel III After recent crisis, and the
More informationOutline with Regard to Clearing of Foreign Currency-Denominated Interest Rate Swaps
Outline with Regard to Clearing of Foreign Currency-Denominated Interest Rate Swaps February 10, 2015 Japan Securities Clearing Corporation * Underlined parts are addition to and revision after January
More informationEarly-warning signal of the recent credit crisis in financial time series
Early-warning signal of the recent credit crisis in financial time series Drona Kandhai Head of FO Quantitative Analytics - ING Bank University of Amsterdam - Assistant Professor (0.2 fte) Rick Quax and
More informationGlobal liquidity: selected indicators 1
8 October 14 Global liquidity: selected indicators 1 Highlights Indicators of global liquidity point to a continued strengthening of risk appetite and loosening of credit conditions in the spring and summer
More informationAnalysing Cross-Currency Basis Spreads
Working Paper Series 25 2017 Analysing Cross-Currency Basis Spreads This paper studies the drivers behind the EUR/USD basis swap spreads widening. Jaroslav Baran European Stability Mechanism Jiří Witzany
More informationRisk Management and Hedging Strategies. CFO BestPractice Conference September 13, 2011
Risk Management and Hedging Strategies CFO BestPractice Conference September 13, 2011 Introduction Why is Risk Management Important? (FX) Clients seek to maximise income and minimise costs. Reducing foreign
More informationSWAPS 2. Decomposition & Combination. Currency Swaps
SWAPS 2 Decomposition & Combination Currency Swaps Also called Cross currency swaps (XCCY). The legs of the swap are denominated in different currencies. Currency swaps change the profile of cash flows.
More informationPotential Gains from the Reform Package
Chart 1 Potential Gains from the Reform Package GDP per capita, % 18 16 14 12 8 6 4 2 Ireland Germany Finland Portugal Spain France Greece Note: The estimated cumulative GDP impact from structural reforms
More informationFinancial Markets and Products
Financial Markets and Products 1. Which of the following types of traders never take position in the derivative instruments? a) Speculators b) Hedgers c) Arbitrageurs d) None of the above 2. Which of the
More informationIn Focus September 2008
Swap Spreads A Twist at the Long End? Mike Amey Executive Vice President Sachin Gupta Senior Vice President Jeroen van Bezooijen Senior Vice President Over the past 12 months, a lot has been said and written
More informationNew banking regulations and the liquidity of financial markets
New banking regulations and the liquidity of financial markets Darrell Duffie Stanford University Are We Ready for the Next Financial Crisis? Lessons Yet To Be Learned Rotman School, University of Toronto,
More informationINTEREST RATE BENCHMARKS REVIEW: Full Year 2018 and the Fourth Quarter of 2018
January 2019 INTEREST RATE BENCHMARKS REVIEW: Full Year 2018 and the Fourth Quarter of 2018 This report provides an analysis of trading volumes of interest rate derivatives (IRD) transactions in the US
More informationMacro Strategy LIBOR OIS
Macro Strategy LIBOR OIS What Everyone Is Talking About the LIBOR/OIS Spread The spread between LIBOR and the Overnight Indexed Swap Rate (OIS) has become a big topic of discussion. The LIBOR/OIS Spread
More informationDollar Funding of Global banks and Regulatory Reforms: Evidence from the Impact of Monetary Policy Divergence
Dollar Funding of Global banks and Regulatory Reforms: Evidence from the Impact of Monetary Policy Divergence Nao Sudo Monetary Affairs Department Bank of Japan Prepared for Symposium: CIP-RIP? at Bank
More informationPost-crisis bank regulations and financial market liquidity
Post-crisis bank regulations and financial market liquidity Darrell Duffie GSB Stanford Belgian Research Financial Form National Bank of Belgium Brussels, June, 2018 Based in part on research with Leif
More informationCurrency Futures or FX Futures Introduction and Pricing Guide
s or FX Futures Introduction and Pricing Guide Michael Taylor FinPricing A currency future or an FX future is a future contract between two parties to exchange one currency for another at a fixed exchange
More informationEXAMINATION II: Fixed Income Analysis and Valuation. Derivatives Analysis and Valuation. Portfolio Management. Questions.
EXAMINATION II: Fixed Income Analysis and Valuation Derivatives Analysis and Valuation Portfolio Management Questions Final Examination March 2010 Question 1: Fixed Income Analysis and Valuation (56 points)
More informationBasis Swap Vaulation Pratical Guide
Vaulation Pratical Guide Alan White FinPricing http://www.finpricing.com Summary Interest Rate Basis Swap Introduction The Use of Interest Rate Basis Swap Basis Swap or Basis Swaplet Payoff Valuation Practical
More informationDerivatives Questions Question 1 Explain carefully the difference between hedging, speculation, and arbitrage.
Derivatives Questions Question 1 Explain carefully the difference between hedging, speculation, and arbitrage. Question 2 What is the difference between entering into a long forward contract when the forward
More informationChapter 8. Swaps. Copyright 2009 Pearson Prentice Hall. All rights reserved.
Chapter 8 Swaps Introduction to Swaps A swap is a contract calling for an exchange of payments, on one or more dates, determined by the difference in two prices A swap provides a means to hedge a stream
More informationInterest Rate Swaps. Revised
Interest Rate Swaps Interest rate swaps allow fixed coupon bonds to be transformed into floating coupon bonds or vice versa. This can be useful for the purpose of hedging, speculating, or achieving lower
More informationContents. 1. Introduction Workbook Access Copyright and Disclaimer Password Access and Worksheet Protection...
Contents 1. Introduction... 3 2. Workbook Access... 3 3. Copyright and Disclaimer... 3 4. Password Access and Worksheet Protection... 4 5. Macros... 4 6. Colour Coding... 4 7. Recalculation... 4 8. Explanation
More informationSwapsInfo First Quarter 2018 Review
May 2018 SwapsInfo First Quarter 2018 Review The ISDA SwapsInfo Quarterly Review provides analysis of interest rate derivatives (IRD) and index credit default swap (CDS) trading activity. The report provides
More informationCovered Interest Parity: violations and arbitrage opportunities. Relatore Prof. Vitale Paolo Giovannone Marco Matr
Dipartimento di Economia e Finanza Cattedra Capital Markets Covered Interest Parity: violations and arbitrage opportunities Relatore Prof. Vitale Paolo Giovannone Marco Matr. 190371 Anno Accademico 2016/2017
More informationFair Forward Price Interest Rate Parity Interest Rate Derivatives Interest Rate Swap Cross-Currency IRS. Net Present Value.
Net Present Value Christopher Ting Christopher Ting http://www.mysmu.edu/faculty/christophert/ : christopherting@smu.edu.sg : 688 0364 : LKCSB 5036 September 16, 016 Christopher Ting QF 101 Week 5 September
More informationP2.T5. Market Risk Measurement & Management. Hull, Options, Futures, and Other Derivatives, 9th Edition.
P2.T5. Market Risk Measurement & Management Hull, Options, Futures, and Other Derivatives, 9th Edition. Bionic Turtle FRM Study Notes By David Harper, CFA FRM CIPM www.bionicturtle.com Hull, Chapter 9:
More informationHSBC Bank Plc Global Markets MiFID II Ex-ante Costs and Charges Disclosures
HSBC Bank Plc Global Markets MiFID II Ex-ante Costs and Charges Disclosures PUBLIC Introduction Throughout this document references to we, our and us are references to HSBC Bank plc. References to you
More informationThe U.S. Treasury Premium, by Wenxin Du, Joanne Im and Jesse Schreger Discussant: Annette Vissing-Jorgensen, UC Berkeley and NBER
The U.S. Treasury Premium, by Wenxin Du, Joanne Im and Jesse Schreger Discussant: Annette Vissing-Jorgensen, UC Berkeley and NBER Question: Over the 2000-2016 period, how special are U.S. Treasuries relative
More informationCondensed Interim Financial Statements 1. E.ON International Finance B.V. Interim Report January June Rotterdam, The Netherlands
Condensed Interim Financial Statements 1 E.ON International Finance B.V. Interim Report 2015 1 January 2015 30 June 2015 Rotterdam, The Netherlands Condensed Interim Financial Statements 2 Content Company
More informationSWAPS INTEREST RATE AND CURRENCY SWAPS
SWAPS INTEREST RATE AND CURRENCY SWAPS Definition A swap is a contract between two parties to deliver one sum of money against another sum of money at periodic intervals. Obviously, the sums exchanged
More informationProblems involving Foreign Exchange Solutions
Problems involving Foreign Exchange Solutions 1. A bank quotes the following rates: CHF/USD 1.0898-1.0910 and JPY/USD 119 121. What is the minimum JPY/CHF bid and the maximum ask rate that the bank would
More informationMAKE MONEY BY HEDGING CURRENCY RISK: IMPOSSIBLE?
MAKE MONEY BY HEDGING CURRENCY RISK: IMPOSSIBLE? Todd Yoder, Fluor Francesco Tonin, Bloomberg APRIL // 10 // 2018 AGENDA 2 What is the goal of hedging? [lower earnings YoY vol? Protect budget?...} In the
More informationFixed-Income Analysis. Solutions 5
FIN 684 Professor Robert B.H. Hauswald Fixed-Income Analysis Kogod School of Business, AU Solutions 5 1. Forward Rate Curve. (a) Discount factors and discount yield curve: in fact, P t = 100 1 = 100 =
More informationNew York Cash Exchange: 2016 Essential Learning for CTP Candidates Session #8: Thursday Afternoon (6/02)
New York Cash Exchange: 2016 Essential Learning for CTP Candidates Session #8: Thursday Afternoon (6/02) ETM4-Chapter 13: Cash Forecasting ETM4-Chapter 15: Operational Risk Management ETM4-Chapter 16:
More information1)International Monetary System
1) (International Monetary System) 2) 3) (Balance of Payments) 4) (Foreign Exchange Market) 5) Interest Rate Parity (IRP) 6) Covered Interest Arbitrage 1 1)International Monetary System 1.1 The Gold Standard
More informationIntroduction to Derivative Instruments Link n Learn. 25 October 2018
Introduction to Derivative Instruments Link n Learn 25 October 2018 Speaker & Agenda Guillaume Ledure Senior Manager Advisory & Consulting, Capital Markets Deloitte Luxembourg Email: gledure@deloitte.lu
More informationArbitrage Activities between Offshore and Domestic Yen Money Markets since the End of the Quantitative Easing Policy
Bank of Japan Review 27-E-2 Arbitrage Activities between Offshore and Domestic Yen Money Markets since the End of the Quantitative Easing Policy Teppei Nagano, Eiko Ooka, and Naohiko Baba Money Markets
More informationUpdated: December 2018
Commonwealth Bank of Australia Updated: December 2018 1 Commonwealth Bank of Australia This updated document supersedes the previously published Ex-Ante disclosure dated June 2018. Amendments to the FX
More informationFinancial Instruments: Derivatives KPMG. All rights reserved. 1
Financial Instruments: Derivatives 2003 KPMG. All rights reserved. 1 1. Introduction Financial Risk Management data technology strategy Risk tolerance operations Management Infrastructure autorisation
More informationEXAMINATION II: Fixed Income Valuation and Analysis. Derivatives Valuation and Analysis. Portfolio Management
EXAMINATION II: Fixed Income Valuation and Analysis Derivatives Valuation and Analysis Portfolio Management Questions Final Examination March 2011 Question 1: Fixed Income Valuation and Analysis (43 points)
More informationIntroduction to Derivative Instruments Part 2
Link n Learn Introduction to Derivative Instruments Part 2 Leading Business Advisors Contacts Elaine Canty - Manager Financial Advisory Ireland Email: ecanty@deloitte.ie Tel: 00 353 417 2991 Fabian De
More informationFinancial Market Introduction
Financial Market Introduction Alex Yang FinPricing http://www.finpricing.com Summary Financial Market Definition Financial Return Price Determination No Arbitrage and Risk Neutral Measure Fixed Income
More informationRates Radar. More interest in cross-currency basis swaps. Interest Rate Strategy. For important disclosure information please see pages 19 and 20.
Interest Rate Strategy Rates Radar More interest in cross-currency basis swaps The current fixed income environment of negative rates in Europe and rising rates in the US makes it imperative for many global
More informationDodd-Frank 2013 What You Need to Know
Dodd-Frank 2013 What You Need to Know 1 Derivatives will be cleared Securities requirements will abound Regulations will converge internationally 2 3 During today s presentation we ll be using a fictional
More informationFinancial Instruments: Derivatives
Financial Instruments: Derivatives KPMG. All rights reserved. 1 1. Introduction Financial Risk Management data technology strategy Risk tolerance operations Management Infrastructure autorisation people
More informationEssential Learning for CTP Candidates NY Cash Exchange 2018 Session #CTP-08
NY Cash Exchange 2018: CTP Track Cash Forecasting & Risk Management Session #8 (Thur. 4:00 5:00 pm) ETM5-Chapter 14: Cash Flow Forecasting ETM5-Chapter 16: Enterprise Risk Management ETM5-Chapter 17: Financial
More informationUNDERSTANDING THE MARKET UNCERTAINTIES. Andrea Loddo Associate Director, Financial Risk Advisory
UNDERSTANDING THE MARKET UNCERTAINTIES Andrea Loddo Associate Director, Financial Risk Advisory Executive Summary Markets are unpredictable: the implications on risk management Rethinking risk management:
More information(c) Ver CZK
(c) Ver. 01-12-14 521 CZK PART 1 Chapter 1 QUESTION 1 : INTEREST RATE CALCULATION What are the flows of payment for a loan of 71.000.000 on 521 days at 5,125 % Consider that this coming year has 366 days
More informationInstruments for hedging against exchange rate risk in the Republic of Serbia. Monetary Operations Department National Bank of Serbia
Instruments for hedging against exchange rate risk in the Republic of Serbia Monetary Operations Department National Bank of Serbia April 2018 CONTENTS: I Dinarisation Strategy II Need for hedging against
More informationSwaps. Bjørn Eraker. January 16, Wisconsin School of Business
Wisconsin School of Business January 16, 2015 Interest Rate An interest rate swap is an agreement between two parties to exchange fixed for floating rate interest rate payments. The floating rate leg is
More informationDerivatives and Hedging for Accountants. Course #6270/QAS6270 Exam Packet
Derivatives and Hedging for Accountants Course #6270/QAS6270 Exam Packet DERIVATIVES AND HEDGING FOR ACCOUNTANTS (COURSE #6270/QAS6270) COURSE DESCRIPTION A derivative is a financial product that derives
More informationResearch Note. Actual Cleared Volumes vs. Mandated Cleared Volumes: Analyzing the US Derivatives Market. July 2018
July 2018 Research Note Actual Cleared Volumes vs. Mandated Cleared Volumes: Encouraging the clearing of standardized derivatives has been a major priority for policy-makers. This has primarily been pursued
More informationDate: 30 July Effective Date: 30 November 2015
Number: Segment: C-IRS-13/2015 IRS Circular Date: 30 July 2015 Effective Date: 30 November 2015 Replaces: --- Subject: Summary Valuation of IRS instruments This circular defines the procedure for valuation
More informationEquity Swap Definition and Valuation
Definition and Valuation John Smith FinPricing Equity Swap Introduction The Use of Equity Swap Valuation Practical Guide A Real World Example Summary Equity Swap Introduction An equity swap is an OTC contract
More informationProduct Catalogue. is Catalogue covers all of the products offered by Erste Bank Treasury Division relating to FX and money market transactions.
Product Catalogue Product Catalogue is Catalogue covers all of the products offered by Erste Bank Treasury Division relating to FX and money market transactions. e basic purpose of the catalogue is to
More informationPost-crisis bank regulations and financial market liquidity
Post-crisis bank regulations and financial market liquidity Darrell Duffie GSB Stanford 2018 RiskLab Bank of Finland ESRB Conference on Systemic Risk Analytics Helsinki, May 28-30, 2018 Based in part on
More information05 April Government bond yields, curve slopes and spreads Swaps and Forwards Credit & money market spreads... 4
Strategy Euro Rates Update Nordea Research, April 1 US Treasury Yields Y Y 1Y 3Y.7 1.3 1.79.3 1D -. -. -1. -1. 1W -9. -. -11. -. German Benchmark Yields Y Y 1Y 3Y -. -.3.1.77 1D...1 -.1 1W.3 -. -7.1-1.
More informationDerivative Instruments
Derivative Instruments Paris Dauphine University - Master I.E.F. (272) Autumn 2016 Jérôme MATHIS jerome.mathis@dauphine.fr (object: IEF272) http://jerome.mathis.free.fr/ief272 Slides on book: John C. Hull,
More informationEurocurrency Contracts. Eurocurrency Futures
Eurocurrency Contracts Futures Contracts, FRAs, & Options Eurocurrency Futures Eurocurrency time deposit Euro-zzz: The currency of denomination of the zzz instrument is not the official currency of the
More information22 Swaps: Applications. Answers to Questions and Problems
22 Swaps: Applications Answers to Questions and Problems 1. At present, you observe the following rates: FRA 0,1 5.25 percent and FRA 1,2 5.70 percent, where the subscripts refer to years. You also observe
More informationLong run asset class performance: 30-year return forecasts ( )
Schroders Long run asset class performance: 30-year return forecasts (2016 45) Schroders Economics Group produces 30-year return forecasts, on an annual basis, for a range of asset classes. Here we outline
More informationAppendix 1: Materials used by Mr. Kos
Presentation Materials (586 KB PDF) Pages 78 to 87 of Transcript Appendix 1: Materials used by Mr. Kos Page 1 Title: Current Deposit Rates and Rates Implied by Traded Forward Rate Agreements Series: U.S.
More informationEMTN Programmes and Private Placements
February 2011 EMTN Programmes and Private Placements Chris Jones, Places for People Chris Lipscomb, Morgan Stanley Peter Matza, The Association of Corporate Treasurers Section 1 EMTN Programmes: Setting
More informationSTRUCTURE OF THE COST OF DEPOSITS IN SELECTED EU COUNTRIES version: April 2015
Piotr Mielus* Tomasz Mironczuk** STRUCTURE OF THE COST OF DEPOSITS IN SELECTED EU COUNTRIES version: April 2015 INTRODUCTION The financial crisis in the years 2007 2009 was one of the factors of structural
More informationMarket Bulletin. The LIBOR spike. May 1, In brief. What is LIBOR and why does it matter?
Market Bulletin May, 8 The LIBOR spike In brief One of the most important interest rates in global financial markets, U.S. LIBOR, has spiked causing some investors to fear that there is a fundamental problem
More informationThe Funding Value Adjustment real or imaginary? Bert-Jan Nauta 21 November 2012
The Funding Value Adjustment real or imaginary? Bert-Jan Nauta 21 The Funding Value Adjustment is topic of a heated debate For example, Risk magazine (risk.net) had a poll on its website: 2 The Funding
More informationRisk Insight. Does a flattening yield curve signal pain for the dollar? What are the chances... Volume 9, Issue 10 6 th March 2017.
Inside this issue Big Picture... 1-2 GBPUSD... 3 GBPEUR... 4 Risk Insight Volume 9, Issue 10 6 th March 2017 EURUSD... 5 USDCAD... 6 Economic Data and Market Indicators... 7 Appendix... 8 Does a flattening
More informationInterest Rate Research
RESEARCH Interest Rate Research 2 March 218 NZ Bank Bill-OIS and FRA-OIS Spreads An Update Increases in US Libor-OIS and the Australian equivalent have filtered through into wider NZ FRA- OIS spreads over
More information1. Exchange Rates Definition: An exchange rate is a price: The relative price of two currencies.
Rauli Susmel Dept. of Finance Univ. of Houston FINA 4360 International Financial Management International Finance Many of the concepts and techniques are the same as the one used in other Finance classes.
More informationMarkets Evolution After the Credit Crunch
Markets Evolution After the Credit Crunch Marco Bianchetti Market Risk Management, Intesa Sanpaolo, Piazza Paolo Ferrari, 10, 20121 Milan, Italy, marco.bianchetti[at]intesasanpaolo.com Mattia Carlicchi
More informationInterest Rate Floors and Vaulation
Interest Rate Floors and Vaulation Alan White FinPricing http://www.finpricing.com Summary Interest Rate Floor Introduction The Benefits of a Floor Floorlet Payoff Valuation Practical Notes A real world
More information